enSecond Home Buyers and the Housing Boom and Busthttps://fweb.rsma.frb.gov/add/pubweb_content/cgi-bin/feds/index?page=paper=show=2356
Board of Governors of the Federal Reserve System Finance and Economics Discussion Series by Daniel GarciaSecond Home Buyers and the Housing Boom and Bust2019-05-03T00:00:29ZRecord-high second home buying (homeowners acquiring nonprimary residences) was a central feature of the 2000s boom, but the macroeconomic effects remain an open question partly because reliable geographic data is currently unavailable. This paper constructs local data on second home buying by merging credit bureau data with mortgage servicing records. The identification strategy exploits the fact that the vacation share of housing from the 2000 Census is predictive of second home origination shares during the boom years, while also uncorrelated with other boom-bust drivers including proxies for local housing expectations, the use of alternative and PLS mortgages, and supply constraints. Localities with plausibly exogenous higher second home origination shares experienced a more pronounced boom and bust - stronger growth in construction and house prices during the boom, and steeper declines in activity during the recession years. Overall, second home buying could exp lain about 30 and 15 percent of the run-up in construction employment and house prices, respectively, over 2000-2006.Second Home Buyers and the Housing Boom and BustFull texthttps://fweb.rsma.frb.gov/add/pubweb_content/cgi-bin/feds/index?page=paper=show=2356Daniel GarciaDaniel Garcia2019-05-03Board of Governors of the Federal Reserve System Finance and Economics Discussion SeriesR12R21R31Local Constant-Quality Housing Market Liquidity Indiceshttps://www.dnb.nl/en/binaries/Working%20paper%20No.%20637_tcm47-383930.pdf
Netherlands Bank DNB Working Papers by Dorinth van DijkLocal Constant-Quality Housing Market Liquidity Indices2019-05-01T00:00:37ZThe average time on market (TOM) of sold properties is frequently used by practitioners and policymakers as a market liquidity indicator. This figure might be misleading as the average TOM only considers properties that have been sold. Furthermore, traded properties are heterogeneous. Since these features differ over the cycle, the average TOM could provide wrong signals about market liquidity. These problems are more severe in markets where properties trade infrequently. In this paper, a methodology is provided that allows for the construction of constant-quality housing market liquidity indices in thin markets that can be estimated up to the end of the sample. The latter is particularly important since market watchers are generally interested in the most recent information regarding market liquidity and less in historical information. Using individual transactions data on three different types of Dutch municipalities (small, medium, and large) it is shown that the average TOM overestimates market liquidity in bad times and underestimates market liquidity in good times. The option to withdraw is the most important reason why the average TOM is misleading. Furthermore, constant-quality liquidity leads the average TOM and price changes. The indices not only show that illiquidity is higher during busts, but also that liquidity risk is higher. Additional results suggest that setting a high list price relative to the estimated value results in a higher TOM, but this effect differs over time. Both the list price premium and the effect on sale probability are higher during busts. Differences in housing quality over the cycle, however, also play a significant role. Finally, the method allows for the construction of indices that are more robust to revisions, especially in thinner markets.Local Constant-Quality Housing Market Liquidity IndicesFull texthttps://www.dnb.nl/en/binaries/Working%20paper%20No.%20637_tcm47-383930.pdfDorinth van DijkDorinth van Dijk2019-05Netherlands Bank DNB Working PapersC11C41R30Pockets of risk in European housing markets: then and nowhttps://www.ecb.europa.eu//pub/pdf/scpwps/ecb.wp2277~4093901f33.en.pdf
European Central Bank Working Papers by Jane Kelly, Julia Le Blanc and Reamonn LydonPockets of risk in European housing markets: then and now2019-05-01T00:00:07ZUsing household survey data, we document evidence of a loosening of credit standards in Euro area countries that experienced a property price boom-and-bust cycle. Borrowers in these countries exhibited significantly higher loan-to-value (LTV) and loan-to-income (LTI) ratios in the run up to the financial crisis, and an increasing tendency towards longer-term loans compared to borrowers in other countries. In recent years, despite the long period of historically low interest rates and substantial house price increases in some countries, we do not find similar credit easing as before the crisis. Instead, we find evidence of a considerable change in borrower characteristics since 2010: new borrowers are older and have higher incomes than before the crisis.Pockets of risk in European housing markets: then and nowECBFull texthttps://www.ecb.europa.eu//pub/pdf/scpwps/ecb.wp2277~4093901f33.en.pdfReamonn LydonJulia Le BlancJane KellyJane Kelly, Julia Le Blanc and Reamonn Lydon2019-05European Central Bank Working PapersE5G01G17G28R39Modelos hedónicos con efectos espaciales: una aproximación al cálculo de índices de precios de vivienda para Bogotáhttp://repositorio.banrep.gov.co/bitstream/handle/20.500.12134/9679/be_1072.pdf?sequence=4=y
Central Bank of Colombia Working Papers by Wilmar Alexander Cabrera-Rodríguez, Juan Sebastián Mariño-Montaña and Carlos Andrés Quicazán-MorenoModelos hedónicos con efectos espaciales: una aproximación al cálculo de índices de precios de vivienda para Bogotá2019-05-01T00:00:02ZEn este documento se estima un índice de precios de vivienda nueva para la ciudad de Bogotá empleando la base de datos de La Galería Inmobiliaria, empresa dedicada a la recolección de información del mercado inmobiliario en Colombia. La metodología de precios hedónicos aquí propuesta presenta tres ventajas con respecto a los índices de vivienda que se calculan en la actualidad para esta ciudad: i) considera que un inmueble es un bien diferenciado, cuyo precio está definido en función de sus características, ii) incorpora de manera parsimoniosa la ubicación de las viviendas por medio de un modelo de econometría espacial, y iii) utiliza una ventana de tiempo para la estimación del índice, haciendo que no sea susceptible a modificaciones ante incorporaciones de nuevos datos. Los resultados muestran que la bondad de ajuste del índice resultante es significativamente mayor a la de los que se producen en la actualidad, que los coeficientes presentan el comportamiento esperado y son estables en el tiempo, y que el índice es robusto a cambios en la participación de inmuebles que se ubican en las colas de la distribución de precios, gracias a la modelación de vecindarios en la estimación espacial. **** ABSTRACT: In this document a new housing price index is calculated for Bogota using data from La Galería Inmobiliaria, company dedicated to the collection of information from the real estate market in Colombia. The hedonic price methodology proposed here presents three advantages over the housing price indexes which are currently produced for the city: i) it considers that a dwelling is a differentiated good, whose price is defined as a function of its characteristics, ii) incorporates in an parsimonious fashion the location of the residences through a spatial econometric model, and iii) it uses a rolling time window to produce the index, making it not susceptible to changes after including new data. The results show that the goodness of fit oModelos hedónicos con efectos espaciales: una aproximación al cálculo de índices de precios de vivienda para BogotáFull texthttp://repositorio.banrep.gov.co/bitstream/handle/20.500.12134/9679/be_1072.pdf?sequence=4=yWilmar Alexander Cabrera-RodríguezJuan Sebastián Mariño-MontañaCarlos Andrés Quicazán-MorenoWilmar Alexander Cabrera-Rodríguez, Juan Sebastián Mariño-Montaña and Carlos Andrés Quicazán-Moreno2019-05Central Bank of Colombia Working PapersC21R31Housing consumption and investment:evidence from shared equity mortgageshttps://www.bankofengland.co.uk/-/media/boe/files/working-paper/2019/housing-consumption-and-investment-evidence-from-shared-equity-mortgages.pdf
Bank of England Working Papers by Matteo Benetton, Philippe Bracke, João F Cocco and Nicola GarbarinoHousing consumption and investment:evidence from shared equity mortgages2019-04-18T00:09:00ZAcademics have proposed hybrid products with equity features for the financing of housing. In spite of their risk-sharing benefits these products have not become mainstream. This paper studies an important exception, a UK government scheme which in the five years since its inception has provided almost £10 billion of equity financing. The analysis of the origination and prepayment behavior of households who have used the scheme highlights housing affordability constraints. A difference-in-difference analysis of an increase in the maximum government equity limit shows that households took advantage of the increase to buy more expensive properties, and not to reduce their mortgage debt and house price risk exposure. A counterfactual study of homebuyers who, instead of using the equity available, relied on high loan-to-value mortgages shows that their financing choices can be rationalized by an expected rate of house price appreciation of 7.7% per year. We draw general implications for how households approach their house purchase and financing decisions, taking advantage of the fact that the shared equity mortgages that we study allow the separation of the consumption and investment dimensions of housing.Housing consumption and investment:evidence from shared equity mortgagesFull texthttps://www.bankofengland.co.uk/-/media/boe/files/working-paper/2019/housing-consumption-and-investment-evidence-from-shared-equity-mortgages.pdfMatteo BenettonNicola GarbarinoPhilippe BrackeJoão F CoccoMatteo Benetton, Philippe Bracke, João F Cocco and Nicola Garbarino2019-04-18Bank of England Working PapersD14R21R31The Marginal Effect of Government Mortgage Guarantees on Homeownershiphttps://www.federalreserve.gov/econres/feds/files/2019027pap.pdf
Board of Governors of the Federal Reserve System Finance and Economics Discussion Series by Serafin J. Grundl and You Suk KimThe Marginal Effect of Government Mortgage Guarantees on Homeownership2019-04-16T00:00:27ZThe U.S. government guarantees a majority of residential mortgages, which is often justified as a means to promote homeownership. In this paper we use property-level data to estimate the effect of government mortgage guarantees on homeownership, by exploiting variation of the conforming loan limits (CLLs) along county borders. We find substantial effects on government guarantees, but find no robust effect on homeownership. This finding suggests that government guarantees could be considerably reduced with modest effects on homeownership, which is relevant for housing finance reform plans that propose to reduce the government&#39;s involvement in the mortgage market by reducing the CLLs.The Marginal Effect of Government Mortgage Guarantees on HomeownershipFull texthttps://www.federalreserve.gov/econres/feds/files/2019027pap.pdfSerafin J. GrundlYou Suk KimSerafin J. Grundl and You Suk Kim2019-04-16Board of Governors of the Federal Reserve System Finance and Economics Discussion SeriesG21R31R38The Marginal Effect of Government Mortgage Guarantees on Homeownershiphttps://www.federalreserve.gov/econres/feds/files/2019027pap.pdf
Board of Governors of the Federal Reserve System Finance and Economics Discussion Series by Serafin J. Grundl and You Suk KimThe Marginal Effect of Government Mortgage Guarantees on Homeownership2019-04-16T00:00:27ZThe U.S. government guarantees a majority of residential mortgages, which is often justified as a means to promote homeownership. In this paper we use property-level data to estimate the effect of government mortgage guarantees on homeownership, by exploiting variation of the conforming loan limits (CLLs) along county borders. We find substantial effects on government guarantees, but find no robust effect on homeownership. This finding suggests that government guarantees could be considerably reduced with modest effects on homeownership, which is relevant for housing finance reform plans that propose to reduce the government&#39;s involvement in the mortgage market by reducing the CLLs.The Marginal Effect of Government Mortgage Guarantees on HomeownershipFull texthttps://www.federalreserve.gov/econres/feds/files/2019027pap.pdfSerafin J. GrundlYou Suk KimSerafin J. Grundl and You Suk Kim2019-04-16Board of Governors of the Federal Reserve System Finance and Economics Discussion SeriesG21R31R38Changing supply elasticities and regional housing boomshttps://www.norges-bank.no/en/Published/Papers/Working-Papers/2019/82019/
Central Bank of Norway Working Papers by Knut Are Aastveit, Bruno Albuquerque and André AnundsenChanging supply elasticities and regional housing booms2019-04-12T00:00:08ZRecent developments in US house prices mirror those of the 1996-2006 boom, but the recovery in construction activity has been weak. Using data for 254 US metropolitan areas, we show hat housing supply elasticities have fallen markedly in recent years. Housing supply elasticities have declined more in areas where land-use regulation has tightened the most, and in areas that experienced the sharpest housing busts. A lowering of the housing supply elasticity implies a strengthened price responsiveness to demand shocks, whereas quantity reacts less. Consistent with this, we find that an expansionary monetary policy shock has a considerably stronger effect on house prices during the recent recovery than during the previous housing boom. At the same time, building permits respond less.Changing supply elasticities and regional housing boomsFull texthttps://www.norges-bank.no/en/Published/Papers/Working-Papers/2019/82019/Knut Are AastveitBruno AlbuquerqueAndré AnundsenKnut Are Aastveit, Bruno Albuquerque and André Anundsen2019-04-12Central Bank of Norway Working PapersC23E32E52R31Can regulation on loan-loss-provisions for credit risk affect the mortgage market? Evidence from administrative data in Chilehttps://www.bis.org/publ/work780.pdf
Bank for International Settlements BIS Working Papers by Mauricio CalaniCan regulation on loan-loss-provisions for credit risk affect the mortgage market? Evidence from administrative data in Chile2019-04-01T00:08:00ZWe argue that financial institutions responded by raising their acceptable borrowing standards on borrowers, enhancing the quality of their portfolio, but also contracting their supply of mortgage credit. We reach this conclusion by developing a stylized imperfect information model which we use to guide our empirical analysis. We conclude that the loan-to-value (LTV) ratio was 2.8% lower for the mean borrower, and 9.8% lower for the median borrower, because of the regulation. Our paper contributes to the literature on the evaluation of macro-prudential policies, which has mainly exploited cross-country evidence. In turn, our analysis narrows down to one particular policy in the mortgage market, and dissects its effects by exploiting unique administrative tax data on the census of all real estate transactions in Chilean territory, in the period 2012-2016.Can regulation on loan-loss-provisions for credit risk affect the mortgage market? Evidence from administrative data in ChileBISFull texthttps://www.bis.org/publ/work780.pdfMauricio CalaniMauricio Calani2019-04Bank for International Settlements BIS Working PapersG21R31Capitalization as a Two-Part Tariff: The Role of Zoninghttps://philadelphiafed.org/-/media/research-and-data/publications/working-papers/2019/wp19-20.pdf
Federal Reserve Bank of Philadelphia Working Papers by H. Spencer Banzhaf and Kyle MangumCapitalization as a Two-Part Tariff: The Role of Zoning2019-03-21T00:00:20ZThis paper shows that the capitalization of local amenities is effectively priced into land via a two-part pricing formula: a \ticket&quot; price paid regardless of the amount of housing service consumed and a \slope&quot; price paid per unit of services. We first show theoretically how tickets arise as an extensive margin price when there are binding constraints on the number of households admitted to a neighborhood. We use a large national dataset of housing transactions, property characteristics, and neighbor- hood attributes to measure the extent to which local amenities are capitalized in ticket prices vis-a-vis slopes. We find that in most U.S. cities, the majority of neighborhood variation in pricing occurs via tickets, although the importance of tickets rises sharply in the stringency of land development regulations, as predicted by theory. We discuss implications of two-part pricing for efficiency and equity in neighborhood sorting equilibria and for empirical estimates of willingness to pay for non-marketed amenities, which generally assume proportional pricing only.Capitalization as a Two-Part Tariff: The Role of ZoningFull texthttps://philadelphiafed.org/-/media/research-and-data/publications/working-papers/2019/wp19-20.pdfH. Spencer BanzhafKyle MangumH. Spencer Banzhaf and Kyle Mangum2019-03-21Federal Reserve Bank of Philadelphia Working PapersD45H41H73R31R52The Long-Run Effects of Neighborhood Change on Incumbent Familieshttps://www.chicagofed.org/~/media/publications/working-papers/2019/wp2019-02-pdf.pdf
Federal Reserve Bank of Chicago Working Papers by Nathaniel Baum-Snow, Daniel Hartley and Lee Kwan OkThe Long-Run Effects of Neighborhood Change on Incumbent Families2019-03-18T00:00:02ZA number of prominent studies examine the long-run effects of neighborhood attributes on children by leveraging variation in neighborhood exposure through household moves. However, much neighborhood change comes in place rather than through moving. Using an urban economic geography model as a basis, this paper estimates the causal effects of changes in neighborhood attributes on long-run outcomes for incumbent children and households. For identification, we make use of quasi-random variation in 1990-2000 and 2000-2005 skill specific labor demand shocks hitting each residential metro area census tract in the U.S. Our results indicate that children in suburban neighborhoods with a one standard deviation greater increase in the share of resident adults with a college degree experienced a 0.4 to 0.7 standard deviation improvement in credit outcomes 12-17 years later. Since parental outcomes are not affected, we interpret these results as operating through neighborhood effects. Finally, we provide evidence that most of the estimated effects operate through public schools.The Long-Run Effects of Neighborhood Change on Incumbent FamiliesFull texthttps://www.chicagofed.org/~/media/publications/working-papers/2019/wp2019-02-pdf.pdfLee Kwan OkDaniel HartleyNathaniel Baum-SnowNathaniel Baum-Snow, Daniel Hartley and Lee Kwan Ok2019-03-18Federal Reserve Bank of Chicago Working PapersD1E24R3A Model of the Australian Housing Markethttps://www.rba.gov.au/publications/rdp/2019/pdf/rdp2019-01.pdf
Reserve Bank of Australia Research Discussion Papers by Trent Saunders and Peter TulipA Model of the Australian Housing Market2019-03-11T12:30:01ZWe build an empirical model of the Australian housing market that quantifies interrelationships between construction, vacancies, rents and prices. We find that low interest rates (partly reflecting lower world long-term rates) explain much of the rapid growth in housing prices and construction over the past few years. Another demand factor, high immigration, also helps explain the tight housing market and rapid growth in rents in the late 2000s. A large part of the effect of interest rates on dwelling investment, and hence GDP, works through housing prices.A Model of the Australian Housing MarketFull texthttps://www.rba.gov.au/publications/rdp/2019/pdf/rdp2019-01.pdfTrent SaundersPeter TulipTrent Saunders and Peter Tulip2019-03Reserve Bank of Australia Research Discussion PapersE17R30R31A Model of the Australian Housing Markethttps://www.rba.gov.au/publications/rdp/2019/pdf/rdp2019-01.pdf
Reserve Bank of Australia Research Discussion Papers by Trent Saunders and Peter TulipA Model of the Australian Housing Market2019-03-11T12:30:01ZWe build an empirical model of the Australian housing market that quantifies interrelationships between construction, vacancies, rents and prices. We find that low interest rates (partly reflecting lower world long-term rates) explain much of the rapid growth in housing prices and construction over the past few years. Another demand factor, high immigration, also helps explain the tight housing market and rapid growth in rents in the late 2000s. A large part of the effect of interest rates on dwelling investment, and hence GDP, works through housing prices.A Model of the Australian Housing MarketFull texthttps://www.rba.gov.au/publications/rdp/2019/pdf/rdp2019-01.pdfTrent SaundersPeter TulipTrent Saunders and Peter Tulip2019-03Reserve Bank of Australia Research Discussion PapersE17R30R31A Shortage of Short Sales: Explaining the Underutilization of a Foreclosure Alternativehttps://philadelphiafed.org/-/media/research-and-data/publications/working-papers/2019/wp19-13.pdf
Federal Reserve Bank of Philadelphia Working Papers by Calvin ZhangA Shortage of Short Sales: Explaining the Underutilization of a Foreclosure Alternative2019-02-20T00:00:00ZThe Great Recession led to widespread mortgage defaults, with borrowers resorting to both foreclosures and short sales to resolve their defaults. I first quantify the economic impact of foreclosures relative to short sales by comparing the home price implications of both. After accounting for omitted variable bias, I find that homes selling as short sales transact at 9.2% to 10.5% higher prices on average than those that sell after foreclosure. Short sales also exert smaller negative externalities than foreclosures, with one short sale decreasing nearby property values by 1 percentage point less than a foreclosure. So why weren&#39;t short sales more prevalent? These home price benefits did not increase the prevalence of short sales because free rents during foreclosures caused more borrowers to select foreclosures, even though higher advances led servicers to prefer more short sales. In states with longer foreclosure timelines, the benefits from foreclosures increased for borrowers, so short sales were less utilized. I find that one standard deviation increase in the average length of the foreclosure process decreased the short sale share by 0.35 to 0.45 standard deviation. My results suggest that policies that increase the relative attractiveness of short sales could help stabilize distressed housing markets.A Shortage of Short Sales: Explaining the Underutilization of a Foreclosure AlternativeFull texthttps://philadelphiafed.org/-/media/research-and-data/publications/working-papers/2019/wp19-13.pdfCalvin ZhangCalvin Zhang2019-02-20Federal Reserve Bank of Philadelphia Working PapersD14G01G21R31Pockets of risk in European housing markets: then and nowhttps://www.esrb.europa.eu//pub/pdf/wp/esrb.wp87~6ea31229d9.en.pdf
European Systemic Risk Board Working Papers by Jane Kelly, Julia Le Blanc and Reamonn LydonPockets of risk in European housing markets: then and now2019-02-01T00:08:07ZUsing household survey data, we document evidence of a loosening of credit standards in Euro area countries that experienced a property price boom-and-bust cycle. Borrowers in these countries exhibited significantly higher loan-to-value (LTV) and loan-to-income (LTI) ratios in the run up to the financial crisis, and an increasing tendency towards longer-term loans compared to borrowers in other countries. In recent years, despite the long period of historically low interest rates and substantial house price increases in some countries, we do not find similar credit easing as before the crisis. Instead, we find evidence of a considerable change in borrower characteristics since 2010: new borrowers are older and have higher incomes than before the crisis.Pockets of risk in European housing markets: then and nowESRBFull texthttps://www.esrb.europa.eu//pub/pdf/wp/esrb.wp87~6ea31229d9.en.pdfReamonn LydonJulia Le BlancJane KellyJane Kelly, Julia Le Blanc and Reamonn Lydon2019-02European Systemic Risk Board Working PapersE5G01G17G28R39Monetary policy, housing, and collateral constraintshttps://www.econstor.eu/bitstream/10419/191799/1/1048354008.pdf
Deutsche Bundesbank Discussion Papers by Thorsten FranzMonetary policy, housing, and collateral constraints2019-02-01T00:00:02ZHouse-purchasing decisions and the possibility of existing homeowners to tap into their housing equity depend decisively on prevailing loan-to-value (LTV) ratios in mortgage markets with borrowing constrained households. Utilizing a smooth transition local projection (STLP) approach, I show that monetary policy shocks in the U.S. evoke stronger reactions in the housing sector in times of high LTV ratios, which, through changes in mortgage lending and mortgage equity withdrawals (MEWs), translate into larger effects of consumption. This result is more pronounced for contractionary shocks, in line with occasionally binding constraints. The strong procyclicality of LTV ratios reconciles these findings with past evidence on a less powerful transmission of monetary policy during recessions.Monetary policy, housing, and collateral constraintsFull texthttps://www.econstor.eu/bitstream/10419/191799/1/1048354008.pdfThorsten FranzThorsten Franz2019Deutsche Bundesbank Discussion PapersE21E52G21R31Who benefits from using property taxes to finance a labor tax wedge reduction?https://www.econstor.eu/bitstream/10419/191800/1/1048360911.pdf
Deutsche Bundesbank Discussion Papers by Nikolai StählerWho benefits from using property taxes to finance a labor tax wedge reduction?2019-01-31T00:00:03ZWe use a New Keynesian DSGE model with a rental housing market to evaluate how financing a labor tax wedge reduction through higher property taxation affects the real economy and welfare. We find that a labor tax wedge reduction generates favorable macroeconomic effects and improves international competitiveness, independent of the financing instrument used. Even though it negatively affects the housing market, property acquisition taxation outperforms all other instruments as the financing instrument in terms of welfare. This finding is the result of allowing households to decide whether to buy or to rent housing services and of the fact that, in this situation, they shift from purchasing to renting more housing services. Abandoning tax credit on mortgage interest payments effectively harms borrowers.Who benefits from using property taxes to finance a labor tax wedge reduction?Full texthttps://www.econstor.eu/bitstream/10419/191800/1/1048360911.pdfNikolai StählerNikolai Stähler2019Deutsche Bundesbank Discussion PapersE51E6K34R31Time-Geographically Weighted Regressions and Residential Property Value Assessmenthttps://s3.amazonaws.com/real.stlouisfed.org/wp/2019/2019-005.pdf
Federal Reserve Bank of St Louis Working Papers by Jeffrey P. Cohen, Cletus C. Coughlin and Jeffrey ZabelTime-Geographically Weighted Regressions and Residential Property Value Assessment2019-01-30T00:00:05ZIn this study, we develop and apply a new methodology for obtaining accurate and equitable property value assessments. This methodology adds a time dimension to the Geographically Weighted Regressions (GWR) framework, which we call Time-Geographically Weighted Regressions (TGWR). That is, when generating assessed values, we consider sales that are close in time and space to the designated unit. We think this is an important improvement of GWR since this increases the number of comparable sales that can be used to generate assessed values. Furthermore, it is likely that units that sold at an earlier time but are spatially near the designated unit are likely to be closer in value than units that are sold at a similar time but farther away geographically. This is because location is such an important determinant of house value. We apply this new methodology to sales data for residential properties in 50 municipalities in Connecticut for 1994-2013 and 145 municipalities in Massachusetts for 1987-2012. This allows us to compare results over a long time period and across municipalities in two states. We find that TGWR performs better than OLS with fixed effects and leads to less regressive assessed values than OLS. In many cases, TGWR performs better than GWR that ignores the time dimension. In at least one specification, several suburban and rural towns meet the IAAO Coefficient of Dispersion cutoffs for acceptable accuracy.Time-Geographically Weighted Regressions and Residential Property Value AssessmentFull texthttps://s3.amazonaws.com/real.stlouisfed.org/wp/2019/2019-005.pdfJeffrey P. CohenCletus C. CoughlinJeffrey ZabelJeffrey P. Cohen, Cletus C. Coughlin and Jeffrey Zabel2019-01-30Federal Reserve Bank of St Louis Working PapersC14H71R31R51Does Housing Vintage Matter? Exploring the Historic City Center of Amsterdamhttps://www.dnb.nl/en/binaries/Working%20Paper%20No.%20617_tcm47-380814.pdf
Netherlands Bank DNB Working Papers by Lyndsey Rolheiser, Dorinth van Dijk and Alex van de MinneDoes Housing Vintage Matter? Exploring the Historic City Center of Amsterdam2018-12-01T00:06:17ZA home is typically thought of as a bundle of land and structure. Land is supplied inelastically and is non-reproducible. Land values are therefore affected by a number of demand factors. Conceptually, structures are easily produced, and thus are supplied elastically. Under elastic supply, it is reasonable to assume that replacement cost should be equivalent to the value of the structure for new properties. Here, we examine how particular structure characteristics may introduce heterogeneity into these demand and supply relationships. In other words, how do structure vintages influence price dynamics. Older vintages are not easily reproducible leading to the value of an older vintage to potentially diverge from its replacement cost. To test our hypotheses, we employ a nonlinear model in a Bayesian structural timeseries approach that explicitly disentangles structure and land values to identify vintage effects separately from physical deterioration and land values. We find large differences in price dynamics between four distinct vintages of Amsterdam old city center apartments. Between 1999 - 2016, new construction had an average return of 1.7%, with a standard deviation of 2.4%. On the other hand, properties build in the 19th century had an average return of 3.6% with a standard deviation of 6.1%, during the same period.Does Housing Vintage Matter? Exploring the Historic City Center of AmsterdamFull texthttps://www.dnb.nl/en/binaries/Working%20Paper%20No.%20617_tcm47-380814.pdfLyndsey RolheiserDorinth van DijkAlex van de MinneLyndsey Rolheiser, Dorinth van Dijk and Alex van de Minne2018-12Netherlands Bank DNB Working PapersC11R21R31Rural Affordable Rental Housing : Quantifying Need, Reviewing Recent Federal Support, and Assessing the Use of Low Income Housing Tax Credits in Rural Areashttps://www.federalreserve.gov/econres/feds/files/2018077pap.pdf
Board of Governors of the Federal Reserve System Finance and Economics Discussion Series by Andrew M. DumontRural Affordable Rental Housing : Quantifying Need, Reviewing Recent Federal Support, and Assessing the Use of Low Income Housing Tax Credits in Rural Areas2018-11-14T00:00:07ZRecently, there has been significant interest in the high levels of rental cost burden being experienced across the United States. Much of this scholarship has focused on rental cost burdens in larger urban areas, or at the national level, and has not explored differences in the prevalence of rental cost burden in urban versus rural communities. In this paper, I find that rental cost burdens are a challenge facing both urban and rural communities. However, despite the need for affordable rental housing in rural communities identified, I find the amount of resources made available by the federal government to address this challenge are at a low point relative to recent history. My analysis of federal resource availability also finds one program has been an important and resilient tool for the development and preservation of affordable housing in urban and rural communities: the Low Income Housing Tax Credit (LIHTC) program. Congress delegated much of the LIHTC program&#39;s implementation to the states, whereby states choose many of the factors to prioritize when allocating LIHTCs to specific projects. Therefore, I explored each state&#39;s qualified allocation plan to identify whether specific factors make it more or less likely rural areas will receive a &quot;fair share&quot; of LIHTC allocations based on their need relative to non-rural areas. My analysis did not identify a specific factor or set of factors that systematically increased or decreased the likelihood of allocations being proportionate to the relative needs of a state&#39;s rural communities. However, I did identify a number of factors that by their very design appeared to affect positively or negatively the likelihood that specific types of projects or project locations would receive allocations. Interviews with industry stakeholders confirmed that many of these factors are affecting developer decisions and may be unintentionally disadvantaging smaller, more remote rural projects.Rural Affordable Rental Housing : Quantifying Need, Reviewing Recent Federal Support, and Assessing the Use of Low Income Housing Tax Credits in Rural AreasFull texthttps://www.federalreserve.gov/econres/feds/files/2018077pap.pdfAndrew M. DumontAndrew M. Dumont2018-11-14Board of Governors of the Federal Reserve System Finance and Economics Discussion SeriesH53I31I32I38R10R21R31Employment in the Great Recession : How Important Were Household Credit Supply Shocks?https://www.federalreserve.gov/econres/feds/files/2018074pap.pdf
Board of Governors of the Federal Reserve System Finance and Economics Discussion Series by Daniel GarciaEmployment in the Great Recession : How Important Were Household Credit Supply Shocks?2018-11-13T00:00:04ZI pool data from all large multimarket lenders in the U.S. to estimate how many of the over seven million jobs lost in the Great Recession can be explained by reductions in the supply of mortgage credit. I construct a mortgage credit supply instrument at the county level, the weighted average (by prerecession mortgage market shares) of liquidity-driven lender shocks during the recession. The reduction in mortgage supply explains about 15 percent of the employment decline. The job losses are concentrated in construction and finance.Employment in the Great Recession : How Important Were Household Credit Supply Shocks?Full texthttps://www.federalreserve.gov/econres/feds/files/2018074pap.pdfDaniel GarciaDaniel Garcia2018-11-13Board of Governors of the Federal Reserve System Finance and Economics Discussion SeriesE44G21R31The Propagation of Regional Shocks in Housing Markets: Evidence from Oil Price Shocks in Canadahttps://www.bankofcanada.ca/wp-content/uploads/2018/11/swp2018-56.pdf
Bank of Canada Working Papers by Lutz Kilian and Xiaoqing ZhouThe Propagation of Regional Shocks in Housing Markets: Evidence from Oil Price Shocks in Canada2018-11-01T00:00:56ZShocks to the demand for housing that originate in one region may seem important only for that regional housing market. We provide evidence that such shocks can also affect housing markets in other regions. Our analysis focuses on the response of Canadian housing markets to oil price shocks. Oil price shocks constitute an important source of exogenous regional variation in income in Canada because oil production is highly geographically concentrated. We document that, at the national level, real oil price shocks account for 11% of the variability in real house price growth over time. At the regional level, we find that unexpected increases in the real price of oil raise housing demand and real house prices not only in oil-producing regions, but also in other regions. We develop a theoretical model of the propagation of real oil price shocks across regions that helps understand this finding. The model differentiates between oil-producing and non-oil-producing regions and incorporates multiple sectors, trade between provinces, government redistribution, and consumer spending on fuel. We empirically confirm the model prediction that oil price shocks are propagated to housing markets in non-oil-producing regions by the government redistribution of oil revenue and by increased interprovincial trade.The Propagation of Regional Shocks in Housing Markets: Evidence from Oil Price Shocks in CanadaFull texthttps://www.bankofcanada.ca/wp-content/uploads/2018/11/swp2018-56.pdfLutz KilianXiaoqing ZhouLutz Kilian and Xiaoqing Zhou2018-11Bank of Canada Working PapersF43Q33Q43R12R31Local banks, credit supply, and house priceshttps://www.newyorkfed.org/medialibrary/media/research/staff_reports/sr874.pdf
Federal Reserve Bank of New York Staff Reports by Kristian S. BlickleLocal banks, credit supply, and house prices2018-11-01T00:00:00ZI study the effects of an increase in the supply of local mortgage credit on local house prices and employment by exploiting a natural experiment from Switzerland. In mid-2008, losses in U.S. security holdings triggered a migration of dissatisfied retail customers from a large, universal bank, UBS, to homogeneous local mortgage lenders. Mortgage lenders located close to UBS branches experienced larger inflows of deposits, regardless of their investment opportunities. Using variation in the geographic distance between UBS branches and local mortgage lenders as an instrument for deposit growth, I find that banks with an exogenous positive funding shock invest in strict accordance with their specialization (that is, local mortgage lending). Consequently, house price gains in neighborhoods around affected banks were more than 50 percent greater than those in neighborhoods around unaffected banks. I also find an increase in the number of employees at small firms, reliant on real estate collateral, in the former set of neighborhoods. My results show that local-mortgage-oriented banks affect house prices through the supply of credit and that bank specialization thereby plays an important role in the allocation of capital across sectors.Local banks, credit supply, and house pricesFull texthttps://www.newyorkfed.org/medialibrary/media/research/staff_reports/sr874.pdfKristian S. BlickleKristian S. Blickle2018-11-01Federal Reserve Bank of New York Staff ReportsG20G21R30Financial frictions, real estate collateral, and small firm activity in Europehttps://www.newyorkfed.org/medialibrary/media/research/staff_reports/sr868.pdf
Federal Reserve Bank of New York Staff Reports by Ryan N. Banerjee and Kristian S. BlickleFinancial frictions, real estate collateral, and small firm activity in Europe2018-10-01T00:06:08ZWe observe significant heterogeneity in the correlation between changes in house prices and the growth of small firms across certain countries in Europe. We find that, overall, the correlation is far greater in Southern Europe than in Northern Europe. Using a simple model, we show that this heterogeneity may relate to financial frictions in a country. We confirm the model&#39;s propositions in a number of empirical analyses for the following countries in Northern and Southern Europe: the United Kingdom, Norway, France, Italy, Spain, and Portugal. Small firms in countries with higher financial frictions (for example, places where bankruptcy resolution is more difficult and/or takes longer) see a greater dependence on &quot;stable&quot; real estate collateral. This is most pronounced for opaque (for example, very young) firms. Through an extension to our model and our choice of specification, we show that our findings are most consistent with a collateral-value-based credit supply channel and rule out a consumer-driven demand effect.Financial frictions, real estate collateral, and small firm activity in EuropeFull texthttps://www.newyorkfed.org/medialibrary/media/research/staff_reports/sr868.pdfRyan N. BanerjeeKristian S. BlickleRyan N. Banerjee and Kristian S. Blickle2018-10-01Federal Reserve Bank of New York Staff ReportsG30G33K11O47R30Pockets of risk in European Housing Markets: then and nowhttps://www.centralbank.ie/docs/default-source/publications/research-technical-papers/12rt18---pockets-of-risk-in-european-housing-markets-then-and-now-(kelly-le-blanc-and-lydon).pdf?sfvrsn=7
Central Bank of Ireland Research Technical Papers by Jane Kelly, Julia Le Blanc and Reamonn LydonPockets of risk in European Housing Markets: then and now2018-10-01T00:00:12ZUsing household survey data, we document evidence of a loosening of creditstandards in Euro area countries that experienced a property price boom-and-bustcycle. Borrowers in these countries exhibited significantly higher loan-to-value (LTV)and loan-to-income (LTI) ratios in the run up to the financial crisis, and an increasingtendency towards longer-term loans compared to borrowers in other countries. Inrecent years, despite the long period of historically low interest rates and substantialhouse price increases in some countries, we do not find similar credit easing asbefore the crisis. Instead, we find evidence of a considerable change in borrowercharacteristics since 2010: new borrowers are older and have higher incomes thanbefore the crisis.Pockets of risk in European Housing Markets: then and nowFull texthttps://www.centralbank.ie/docs/default-source/publications/research-technical-papers/12rt18---pockets-of-risk-in-european-housing-markets-then-and-now-(kelly-le-blanc-and-lydon).pdf?sfvrsn=7Reamonn LydonJulia Le BlancJane KellyJane Kelly, Julia Le Blanc and Reamonn Lydon2018-10Central Bank of Ireland Research Technical PapersE5G01G17G28R39